Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0218 |
| Annualized Std Dev | 0.2378 |
| Annualized Sharpe (Rf=0%) | -0.0917 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3519.0000 |
| NAs | 1.0000 |
| Minimum | -0.1717 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1825 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.4994 |
| Kurtosis | 21.3342 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0107 |
| Loss Deviation | 0.0129 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.6490 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0369 |
| Modified VaR (95%) | -0.0202 |
| Modified ES (95%) | -0.0202 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-20 | 2009-03-09 | NA | -0.6490 | 3505 | 475 | NA |
| 2007-04-18 | 2007-04-18 | 2007-04-19 | -0.0045 | 2 | 1 | 1 |
| 2007-04-04 | 2007-04-09 | 2007-04-17 | -0.0025 | 9 | 3 | 6 |
| 2007-03-30 | 2007-04-02 | 2007-04-03 | -0.0010 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | 0 | 0 | 0.5 | 0.2 | -0.4 | 2.5 | 1.2 | -2.4 | 1.6 | 0.1 | 3.2 |
| 2008 | 2.3 | -2.2 | 3.3 | 0.6 | 0.2 | -0.7 | 0.3 | -0.8 | 0.6 | 1.4 | -9.5 | 1.5 | -3.5 |
| 2009 | -2.7 | -1.2 | 1.4 | -0.2 | 2 | 0.3 | 0.5 | -1.2 | -1.6 | -2.5 | 0.7 | 1.2 | -3.4 |
| 2010 | 1.2 | 0.3 | 0.6 | -1.6 | -1.8 | -1 | 1.6 | 2 | 1.7 | 0.5 | 1.2 | 0.7 | 5.8 |
| 2011 | -0.6 | -2 | -0.1 | 0.4 | -1.7 | -0.3 | -0.3 | -0.5 | -2.5 | -2.3 | -0.2 | 0 | -9.6 |
| 2012 | 1.3 | 0.6 | 0.7 | 0.8 | -2.2 | 2 | 0.1 | 0.9 | 0.7 | 1.7 | -0.2 | 1.4 | 8 |
| 2013 | 0.8 | 0.1 | 1.1 | 0.7 | -0.9 | 1.2 | 0.8 | 0.1 | 1 | -0.2 | 0.6 | 0.7 | 6 |
| 2014 | -1.8 | -0.2 | 0.6 | 0.4 | -0.2 | 0 | -0.2 | 0.2 | -0.3 | 1.7 | 0.2 | 1.1 | 1.3 |
| 2015 | -1.2 | 0.2 | -0.9 | 0.9 | 0.2 | 1.1 | 0.4 | -3 | 0.5 | 0.1 | 0.3 | 1.1 | -0.3 |
| 2016 | 0.5 | 1.1 | 0.1 | -0.7 | 0.7 | 3 | -0.7 | -0.5 | 1 | -1 | 0.4 | -0.5 | 3.5 |
| 2017 | 0 | 0.7 | 0.7 | 0.1 | 0.4 | 1.1 | 0.8 | 1 | 1.4 | 0.6 | -1.1 | 1 | 7 |
| 2018 | -0.1 | -0.7 | 1.2 | -0.7 | 0.4 | 0.6 | 3.2 | -0.8 | -0.8 | 1.2 | 0.7 | 1.4 | 5.6 |
| 2019 | -0.5 | 0.6 | 1.4 | 0.4 | -1.3 | 0.4 | 0.1 | 0.1 | -1 | 0.4 | -0.7 | -0.5 | -0.8 |
| 2020 | -1.1 | -3.8 | -5.3 | -2.9 | 1.1 | 1.1 | -0.1 | 0.4 | 0.3 | -0.9 | 1.5 | 0.2 | -9.3 |
| 2021 | 1.2 | 1.6 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-03-28 20 SPY 142. -0.0073 -0.0103 0.0166 0.0076 0.0908 0.278 0.241 GLD 66.0 5.30e-3 0.0035
2 2007-03-29 20.0 SPY 142. 0.0011 -0.0085 0.0074 0.0028 0.0987 0.279 0.239 GLD 65.6 -6.10e-3 -0.0017
3 2007-03-30 20.0 SPY 142 0.0002 -0.0097 0.0106 -0.0036 0.0921 0.261 0.24 GLD 65.7 1.40e-3 0.0091
4 2007-04-02 20 SPY 142. 0.0011 -0.0073 0.0252 -0.0004 0.0952 0.258 0.241 GLD 65.8 1.70e-3 0.0002
5 2007-04-03 20.0 SPY 144. 0.0108 0.00580 0.0462 0.0146 0.107 0.270 0.261 GLD 65.8 -3.00e-4 0.002
6 2007-04-04 20.0 SPY 144. 0.0011 0.0143 0.0297 0.0175 0.109 0.264 0.271 GLD 66.8 1.49e-2 0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
